You need to download the sql server 2005 jdbc driver (sqljdbc.jar) and make sure it is on the application server/servlet container's CLASSPATH.
An easy way of doing this is to put sqljdbc.jar in your webapps WEB-INF/lib directory.

There is plenty of documentation on MSDN on how to use it. A good basic example is here

HI My Friend,
Pl. avoid to connect to database from jsp file using any software. Pl. Write Separate Coding for connect Database in this coding using type 4 driver. it is very easy to connect all database without DSN name creation.

If you connect DATABASE using any database you cannot transfer context any system it is no easy.